Do the Outbreak of COVID-19 Influence the China Stock Market?
Problemy Ekorozwoju
; 17(2):59-68, 2022.
Article
in English
| Web of Science | ID: covidwho-2227697
ABSTRACT
This study aims at the impact outbreak of COVID-19 influence Chinese currency and stock market over the period December 2, 2019, to January 04, 2021. The Generalized Autoregressive Conditional Homoscedastic approach captures the most common stylized fact about index returns (such as multivariate to capture the Shanghai and Shenzhen stock exchange). Our finding shows the explosive process and risk premium for the Shenzhen stock exchange (SSE) and Shanghai stock exchange (SZSE) index. And the standard deviation depreciation of the Chinese currency during the COVID-19 equivalent to 0.46% improved stock market return by 81% average returns. These results explain that high volatility of index returns is present in the Chinese stock market over the sample period. According to the analysis results, it can be concluded that the number of new cases and the number of recent deaths have a significant effect on the stock market, causing uncertainty in the sustainability.
Full text:
Available
Collection:
Databases of international organizations
Database:
Web of Science
Type of study:
Prognostic study
Language:
English
Journal:
Problemy Ekorozwoju
Year:
2022
Document Type:
Article
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